I concur with what has already been mentioned. The oil is a big deal. I rode mine 700 miles one day down to Jacksonville, FL for the Iron Butt Pizza Party and got up the next day and did a Saddle Sore (1,000 miles in 24 hours) all in the State of Florida. I was burning quite a bit of oil but my speeds were up there because a lot of it was freeway. During that ride I stopped at an Auto Parts store and bought Castrol GTX 50 weight oil. It seemed to burn less with 50 over 40. I have since gone to 50 weight for all my oil changes on the KLR.
I went down one tooth on the rear sprocket. My RPMs dropped by 500. I have sacrificed torque for top end and that is OK for me because I don't run knobbies on the bike anyway. The tires I use for the street are Pirelli Scorpion Trails which are around a 90/10 tire. They have a very deep pattern and they are wearing quite well. Since they are a tubeless street tire, I replaced the stock innertubes with Pirelli Heavy Duty Tubes. The combo works very well.
I have found though that if i don't keep the RPMs up around 5000, the engine will start lugging and I have to down shift.
I have aux lights on mine. Can't remember who makes them but they were purchased from one of the KLR sites, Happy Trails I believe but it might have KLR650.net. They are black and sort of shaped like a small soda can. They have mounts that use the two bolts on either side of the windshield so they are up high and are noticible. I bought mine in a mixed configuration. The left one is "spot" for punching down the road, and the right one is "flood" for lighting up the side of the road and the tree line. I also pulled the front nose off and replace the stock headlights with halogens. That alone is a great investment. I used the 35/55W halogens so my actually wattage dropped over stock bulbs.
I replaced the wet cell batter with an Odyssey. It required some mods to get it in (battery mounts on its side) but it is one hell of a strong battery with some cranking power. The stator also seems to do a good job as well consistantly putting out 14+ volts.
I did the doohickey upgrade. Mine is a 2009 and the spring was so loose that I flicked it off the post with a screw driver. Not effort at all required. The upgrade itself is painless, HOWEVER, when removing the one piece valve cover MAKE SURE you also remove the rubber washers before pulling the valve cover off. You don't want to know what that washer sounds like as it falls down inside your engine. Don't ask me how I know this....
I did a lot of upgrades on mine as well. FuzeBlock to handle all my electrical upgrades (mounted in the front nose above the headlights), bash plate and engine guards with highway pegs, center stand, saddle bags, tank bag, Sargant seat (stock seat sucks), and BMW Sport Touring grips to replace the cheesy stock grips. Also, a Zero Gravity smoked windshield in a taller size. I am also built like a penguin as one of the other posters mentioned and with a similar weight (actually more).
I think the stock brakes on the bake are very soft compared to other bikes. I don't know what other's impression are of this but maybe there is a brake upgrade that can be done. I haven't checked into it. I must try to make sure I am not tailgating anyone.
I haven't touched the breather or exhaust. All is stock and yes it does sound like the car on the Jetsons cartoon show (that may be a very dated reference for some of you).
The odo and speedo seem spot on when compared to a GPS. I think I was only 1 or 2 miles on the high side after riding 1,000+ miles.
I installed a Happy Trails fork brace for the front and that really quieted down the wheel chatter and is much better in the twisties.
The vibration can be an issue. It is for me to a certain degree. An even bigger annoyance for me is the width of the handlebars. I know you want wide handlebars when off road for control, but slogging down the highway for hours on end, it really starts to get me right between the shoulder blades.
Hope that helps. If I missed something drop me a line.